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Z3261 LC Cash Basis Signal

USDA AMS LM_CT100 5-area weighted-average cash cattle price minus CME Live Cattle first-nearby futures, seasonal-detrended and z-scored, as a Grade C directional signal with marginal daily and non-overlap IC. Material improvement vs prior formulation but weak directional spread.

At a glance

As of Oct 30, 2026. Updated nightly.

OBJECTIVE

The cash cattle basis — USDA AMS 5-area weighted-average cash price minus CME Live Cattle first-nearby close — measures the gap between what packers pay for immediate slaughter cattle and what the futures market prices in. Wide positive basis signals packers chasing scarce cattle in the cash market, a margin-squeeze condition. Narrow or negative basis signals packer caution and margin flush. This signal reads AMS LM_CT100 5-area weighted-average cash price (daily, available from 2020-04-24) and CME Live Cattle first-nearby close (LC_0_L1ND, Rule 35 traded-prices for spread work), computes the dollar basis in $/cwt, subtracts a day-of-year climatology to remove seasonal pattern, then z-scores on a 252-day rolling window. The honest grade: Grade C. Daily Spearman IC against LC fwd60d is plus 0.083 at p-value 9.3e-04 across 1,579 trading days — passes the magnitude bar (|rho| >= 0.08) but p-value above the strict 1e-10 convention. Non-overlapping (every-60-day) IC is plus 0.372 at p-value 0.056 across 27 independent samples — MARGINAL (just over the 0.05 bar). The non-overlap n=27 is sample-constrained — the signal has only 6.5 years of history (2020-04 onward) because the AMS daily cash series started then. Phase stats show modest directional edge: Phase +1 (Wide Cash Premium) delivers +3.88 percent fwd60d (+0.47 pp above baseline, hit 77 percent). Phase -1 (Narrow Cash Premium) delivers +3.23 percent (-0.18 pp vs baseline). Phase 0 delivers +3.36 percent. Directional spread of 0.65 pp is notably smaller than other LC signals in this library. Current reading: Normal at composite minus 0.191, 3 trading days running. The basis is within seasonal norms. Signal is DORMANT.

LIVE CHART

THE TAKEAWAY

THE REGIME MAP

Computed from 1,579 trading days using RUN-ENTRY sampling. Baseline LC fwd60d: plus 3.41 percent. Grade C directional with MARGINAL daily (p=9e-04 above strict 1e-10) and non-overlap (p=0.056 above standard 0.05) significance. Weak directional spread (0.65 pp).

The historical pattern

THE TRACK RECORD

Scroll inside the table for the full history. Forward 60-day LC is measured from each run’s start date; a reader cannot trade off a start-date they only identify in hindsight, so this is a transparency log, not an alpha claim. Asterisked (*) returns are partial. The run is less than 60 trading days old. The full 60-day comparable fills in as more data arrives.

The signal pulls USDA AMS LM_CT100 5-area weighted-average cash cattle price daily and CME Live Cattle first-nearby close daily, computes the dollar basis (cash minus futures in $/cwt), subtracts a day-of-year climatology, and z-scores on 252-day rolling window with 63-day minimum sample. State thresholds plus or minus 0.2 (moderate) and plus or minus 0.5 (extreme). Daily release cadence.

Not investment advice · The analysis on this page is informational and educational. Signal readings, historical case figures, and empirical statistics are derived from publicly available data and are provided without warranty. Hypothetical performance results have inherent limitations, including the benefit of hindsight. Readers who intend to trade should consult a licensed investment professional and see the research brief for the full disclaimer.

Last refreshed Nov 01, 2026 08:05 PM ET